Actually you are confirming my hypothesis. Heat exchangers are supposed to be cool. If you are hot and poor water on on side of your body and compare the temperatures of both sides you will notice that after evaporation the one half acting as a heat exchanger is cooler.
The penis IS designed to stay cooler because (back to what I was saying on page 3) sperm production is optimal at lower-than-core body temperature. It's just that there's no exchange between the penis and anything else
For the sake of making this a bit more scientific (as opposed to something subjective and tactile), I tried researching online for any information I could find on details about 'thermoregulation'. Many of the websites say regulation of heat is carried out through the behavior of capillaries, but point out that it's presence is in regions of the body with more blood flow. The penis is a vascular organ, but it's blood flow is minimal for the majority of the time--- I'm assuming this (among other things) is because constant increased circulation would raise the temperature of that region. It certainly increases during vasodilation (which happens during an erection), and vasodilation is a key behavior of cells as they exchange heat. There's nothing to efficiently circulate the cooled blood/fluid from there to other parts of the body.
Also - Conceptually, it seems a bit counter-productive to evolve the trait in such a low region of the body. The heat exchangers for the elephant is located towards the top of its body.
BTW - I'm suprised nobody else has related to my 'cold wiener' story LOL - I kinda figured all men will have experienced this pain at some point during their lives.